Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0118 |
| Annualized Std Dev | 0.1660 |
| Annualized Sharpe (Rf=0%) | -0.0712 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4441.0000 |
| NAs | 1.0000 |
| Minimum | -0.1691 |
| Quartile 1 | -0.0037 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0040 |
| Maximum | 0.1387 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0105 |
| Skewness | -0.8469 |
| Kurtosis | 39.8570 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0077 |
| Gain Deviation | 0.0079 |
| Loss Deviation | 0.0094 |
| Downside Deviation (MAR=210%) | 0.0125 |
| Downside Deviation (Rf=0%) | 0.0077 |
| Downside Deviation (0%) | 0.0077 |
| Maximum Drawdown | 0.5345 |
| Historical VaR (95%) | -0.0136 |
| Historical ES (95%) | -0.0254 |
| Modified VaR (95%) | -0.0112 |
| Modified ES (95%) | -0.0112 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-04-02 | 2008-10-10 | NA | -0.5345 | 4271 | 1140 | NA |
| 2003-08-25 | 2003-11-24 | 2004-03-05 | -0.0730 | 134 | 65 | 69 |
| 2004-03-22 | 2004-03-24 | 2004-03-31 | -0.0134 | 8 | 3 | 5 |
| 2004-03-09 | 2004-03-10 | 2004-03-19 | -0.0080 | 9 | 2 | 7 |
| 2003-08-07 | 2003-08-07 | 2003-08-13 | -0.0005 | 5 | 1 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | 0 | 0 | 0.8 | 0.3 | -0.1 | 0.3 | 1.4 |
| 2004 | 0.2 | -0.3 | 1.2 | 2.8 | 1.4 | 1.7 | -0.1 | 1 | 0.7 | 0.3 | 1 | 0.4 | 10.7 |
| 2005 | -0.1 | 0.4 | 1.5 | 0.3 | 1.7 | 1 | 0.5 | 0.5 | 0.5 | 0.7 | 0.2 | 1.4 | 8.9 |
| 2006 | 1.9 | -0.1 | -0.2 | 0.8 | 0 | 0.1 | 0.2 | 0.3 | 0.2 | 0.2 | -0.3 | 0.3 | 3.5 |
| 2007 | 0.1 | -0.7 | 0.5 | -0.1 | -0.4 | 0.4 | -1.5 | 0.5 | -0.7 | 1.4 | 0.7 | 0.9 | 1.1 |
| 2008 | -0.2 | -2.7 | 1.1 | 0.4 | -0.3 | -1 | 1.4 | 0.1 | 0.1 | 1.9 | -3.9 | -1.1 | -4.3 |
| 2009 | 1.1 | 0.6 | 0.9 | 0.6 | -1.1 | 0.5 | 0.1 | 0 | -0.4 | -0.6 | 0.9 | -0.3 | 2.3 |
| 2010 | 1.1 | 0.4 | 0.6 | 0.3 | 0.5 | 0.1 | 0.2 | 0.9 | 0.3 | -0.3 | -0.8 | 0.2 | 3.6 |
| 2011 | 0.3 | -0.3 | -0.7 | 1.6 | -0.5 | -3.1 | 2 | -0.1 | 1.1 | -0.6 | 0.9 | -0.8 | -0.1 |
| 2012 | -0.2 | 0.2 | 0 | 0.9 | -0.2 | -1.4 | 1.3 | 0.3 | 1 | 0.6 | -0.5 | -1.6 | 0.2 |
| 2013 | 0.2 | -0.2 | -0.8 | -1.3 | -2.9 | 0.2 | -0.4 | 0.2 | -0.2 | -0.3 | -0.2 | -0.6 | -6.1 |
| 2014 | 0.6 | -0.4 | 0.3 | -0.2 | -0.3 | 0.1 | -0.4 | 0.2 | 0.6 | 0.2 | -0.5 | 2.2 | 2.5 |
| 2015 | -0.4 | 0.4 | 1.1 | 0 | 0.1 | 0.9 | 0.3 | -0.4 | -0.8 | 0.6 | -0.3 | 1 | 2.3 |
| 2016 | -0.9 | 1.1 | 1.2 | 0.1 | -0.1 | 0.2 | -0.2 | -0.5 | 0.3 | -0.2 | -0.6 | 0.3 | 0.6 |
| 2017 | -0.2 | 0.3 | 0.5 | 0.2 | -0.3 | 1 | -0.1 | 0.1 | 0.2 | -0.2 | 0.3 | 0.1 | 1.8 |
| 2018 | -0.4 | -0.6 | 0.4 | -0.2 | -0.6 | 0.3 | -0.7 | 0.1 | 0.1 | 0.5 | 0 | -0.3 | -1.3 |
| 2019 | 0.6 | -0.1 | 0.4 | 0.4 | -0.6 | -0.1 | 0.7 | 0.2 | -0.4 | 0.1 | 0.1 | 0.8 | 2 |
| 2020 | -1.3 | -3.2 | -4.1 | -2 | 1.2 | 0.2 | -0.5 | 0.9 | 0.8 | -0.3 | -0.1 | 0.8 | -7.5 |
| 2021 | -0.4 | 0.9 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
